Garch Processes; RCA Models; Garch Models; Time Varying Volatility; Kurtosis - Articles

A Multiplicative Seasonal ARIMA/GARCH Model in EVN Traffic Prediction (Articles)

Quang Thanh Tran, Zhihua Ma, Hengchao Li, Li Hao, Quang Khai Trinh

International Journal of Communications, Network and System Sciences Vol.8 No.4, April 2, 2015

DOI: 10.4236/ijcns.2015.84005 5,177 Downloads 7,400 Views Citations
A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks (Articles)

Baoqian Wang, Cheng Wang, Xikun Zhang

Modern Economy Vol.3 No.6, October 31, 2012

DOI: 10.4236/me.2012.36097 5,998 Downloads 9,372 Views Citations
Fitting the Nigeria Stock Market Return Series Using GARCH Models (Articles)

U. Usman, H. M. Auwal, M. A. Abdulmuhyi

Theoretical Economics Letters Vol.7 No.7, December 14, 2017

DOI: 10.4236/tel.2017.77147 1,138 Downloads 3,505 Views Citations
Exploring the Priced Factors in ICAPM in Japan (Articles)

Chikashi TSUJI

Modern Economy Vol.2 No.4, September 21, 2011

DOI: 10.4236/me.2011.24078 5,475 Downloads 10,011 Views Citations
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal of Mathematical Finance Vol.3 No.1, February 26, 2013

DOI: 10.4236/jmf.2013.31002 6,831 Downloads 13,019 Views Citations
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal of Applied Mathematics and Physics Vol.2 No.7, June 13, 2014

DOI: 10.4236/jamp.2014.27062 5,449 Downloads 8,280 Views Citations
Recursive Estimation for Continuous Time Stochastic Volatility Models Using the Milstein Approximation (Articles)

Theodoro Koulis, Alexander Paseka, Aerambamoorthy Thavaneswaran

Journal of Mathematical Finance Vol.3 No.3, August 15, 2013

DOI: 10.4236/jmf.2013.33036 3,542 Downloads 6,165 Views Citations
A New Formula for Partitions in a Set of Entities into Empty and Nonempty Subsets, and Its Application to Stochastic and Agent-Based Computational Models (Articles)

Ghennadii Gubceac, Roman Gutu, Florentin Paladi

Applied Mathematics Vol.4 No.10C, October 4, 2013

DOI: 10.4236/am.2013.410A3003 4,837 Downloads 7,904 Views Citations
This article belongs to the Special Issue on Advances in Mathematical Physics
Building an Architectural Component Model for a Telehealth Service (Articles)

Alan Taylor, Greg Morris, Jennifer Tieman, David Currow, Michael Kidd, Colin Carati

E-Health Telecommunication Systems and Networks Vol.4 No.3, September 16, 2015

DOI: 10.4236/etsn.2015.43004 5,772 Downloads 7,604 Views Citations
Knowledge Management of Software Productivity and Development Time (Articles)

James A. Rodger, Pankaj Pankaj, Ata Nahouraii

Journal of Software Engineering and Applications Vol.4 No.11, November 21, 2011

DOI: 10.4236/jsea.2011.411072 4,977 Downloads 9,395 Views Citations
Modelling Stochastic Volatility in the Kenyan Securities Market Using Hidden Markov Models (Articles)

Matilda B. Bosire, Samuel Chege Maina

Journal of Financial Risk Management Vol.10 No.3, September 30, 2021

DOI: 10.4236/jfrm.2021.103021 544 Downloads 2,365 Views Citations
Regime-Switching Model on Hourly Electricity Spot Price Dynamics (Articles)

Samuel Asante Gyamerah, Philip Ngare

Journal of Mathematical Finance Vol.8 No.1, February 7, 2018

DOI: 10.4236/jmf.2018.81008 1,095 Downloads 2,626 Views Citations
Study on Globalization of Shipping Stocks Pricing Based on a DC-MSV Model (Articles)

Yiping Yu

Modern Economy Vol.10 No.12, December 27, 2019

DOI: 10.4236/me.2019.1012149 529 Downloads 1,384 Views Citations
Dynamic Volatility Spillovers among Green Bonds, Green Stocks and Carbon Markets under the COVID-19: Evidence from China (Articles)

Siya Ye, Haomin Zhang, Qiao Lou

American Journal of Industrial and Business Management Vol.15 No.1, January 21, 2025

DOI: 10.4236/ajibm.2025.151004 141 Downloads 817 Views Citations
The Link between Output Growth and Real Uncertainty in Greece: A Tool to Speed up Economic Recovery? (Articles)

Ekaterini Tsouma

Theoretical Economics Letters Vol.4 No.1, February 18, 2014

DOI: 10.4236/tel.2014.41015 3,109 Downloads 4,952 Views Citations
Research on Dynamic Relationship between Exchange Rate and Stock Price—Based on GARCH-in-Mean Model (Articles)

Weihan Zhang, Peijuan Yang

Journal of Service Science and Management Vol.11 No.6, December 28, 2018

DOI: 10.4236/jssm.2018.116046 1,347 Downloads 3,711 Views Citations
Modeling Returns and Volatility Transmission from Crude Oil Prices to Leone-US Dollar Exchange Rate in Sierra Leone: A GARCH Approach with Structural Breaks (Articles)

Morlai Bangura, Thomas Boima, Sandy Pessima, Isatu Kargbo

Modern Economy Vol.12 No.3, March 25, 2021

DOI: 10.4236/me.2021.123029 720 Downloads 2,283 Views Citations
Variance Estimation for High-Dimensional Varying Index Coefficient Models (Articles)

Miao Wang, Hao Lv, Yicun Wang

Open Journal of Statistics Vol.9 No.5, October 8, 2019

DOI: 10.4236/ojs.2019.95037 773 Downloads 1,802 Views Citations
Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models (Articles)

Yong Li, Fang-Ping Peng, Hao-Feng Xu

Journal of Mathematical Finance Vol.2 No.1, February 28, 2012

DOI: 10.4236/jmf.2012.21010 5,606 Downloads 10,058 Views Citations
Application of Iterative Approaches in Modeling the Efficiency of ARIMA-GARCH Processes in the Presence of Outliers (Articles)

Emmanuel Alphonsus Akpan, K. E. Lasisi, Ali Adamu, Haruna Bakari Rann

Applied Mathematics Vol.10 No.3, March 29, 2019

DOI: 10.4236/am.2019.103012 992 Downloads 2,299 Views Citations

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